Shogi Master 170KB
This game has 6 levels of difficulty. The Computer AI is not as good as Sekita Shogi, but the interface is very good. This is currently my favourite Shogi program. It is Abandonware.

These are games that can be played on "Shogi Master". From the books -

Sekita Shogi 5 214KB
This game has the best Computer AI of the games listed here. The interface is good too. The only thing I don't like about this is sometimes it is hard to tell which piece moved last. It is Shareware.

Win Shogi 200KB
The interface is ok. I like the options on the computer AI, they have a seperate AI for moves on the board and one for drops. So you can set the difficulty for drops on low and moves of pieces already on the board on high, which is good if you are a Chess player learning Shogi (as there are no drops in chess). It is smileware (smile and you can keep it :)

Shogi Variants Version 1.55a 734KB
This has Shogi and many variant games of Shogi in it. The computer AI is the most simplistic of all the games here. The interface is the best to learn from (you can right click on a piece and it will highlight which square the piece moves to.) This is the game that I learnt how to play on.

Shogi Gold 68KB
This has the second worst computer AI and the interface is ok. I emailed the author because they live locally to me, to see if he wanted a game. He didn't but he did send me the source code for this game! (It's written in c 121KB).